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The Valuation of Complex Derivatives by Major Investment Firms: Empirical Evidence

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Author Info
 Bernardo, Antonio E
Cornell, Bradford
Abstract

This article examines the auction of a portfolio of collateralized mortgage obligations to major broker dealers and institutional investors. The unique data set allows the authors to analyze a number of important empirical questions related to the valuation of collateralized mortgage obligations by the bidders and the elasticity of demand for the securities. The results reveal that the valuations differ substantially, implying a significant elasticity of demand. Copyright 1997 by American Finance Association.

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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 52 (1997)
Issue (Month): 2 (June)
Pages: 785-98
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Handle: RePEc:bla:jfinan:v:52:y:1997:i:2:p:785-98

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  1. Young Han Lee & Ulrike Malmendier, 2007. "The Bidder's Curse," NBER Working Papers 13699, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Stulz, Rene M., 2004. "Should We Fear Derivatives?," Working Paper Series 2004-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  3. Michael S. Gibson, 1997. "Information systems for risk management," International Finance Discussion Papers 585, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  4. Rene M. Stulz, 2004. "Should We Fear Derivatives?," NBER Working Papers 10574, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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